Price Discovery and Trading After Hours on the ECX

Ibikunle, Gbenga; Gregoriou, Andros

doi:10.1007/978-3-319-72847-6_3

Cited by 1 publication

(1 citation statement)

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“…Pre-market sessions, while efficient in their own right, show a different pattern of price discovery, heavily influenced by trading volumes [6,7]. The extension of futures trading time, particularly in after-hours, bolsters the efficiency of the ETF market, displaying a more profound reflection of undisclosed information [8][9][10]. However, the efficiency of price discovery in after-hours trading is relatively low compared to regular trading session [11].…”

Section: Price Discovery and Market Efficiencymentioning

confidence: 99%

The price continuity, return and volatility spillover effects of regular and after-hours trading

Chiu,

Chang,

Hsiao

et al. 2024

PLoS ONE

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This study employs a bivariate EGARCH model to examine the Taiwan Futures Exchange’s regular and after-hours trading, focusing on the critical aspects of spillover and expiration effects, as well as volatility clustering and asymmetry. The objective of this study is to observe the impact on the trading sessions in Taiwan by the influences of the European and American markets, focusing on the essential roles of the price discovery function and risk disclosure effectiveness of the regular hours trading. This research is imperative considering the increasing interconnectedness of global financial markets and the need for comprehensive risk assessment for investment strategies. It also examines the hedging behavior of after-hours traders, thereby aiming to contribute to pre-investment analysis by future investors. This examination is vital for understanding the dynamics of after-hours trading and its influence on market stability. Results indicate price continuity between both trading sessions, with regular trading often determining after-hours price ranges. Consequently, after-hours price changes can inform regular trading decisions. This finding highlights the importance of after-hours trading for shaping market expectations. Significant profit potential exists in after-hours trading open interest, which serves speculative and hedging purposes. While regular trading volatility influences after-hours trading, the reverse is not true. This suggests Taiwan market information poses a higher risk impact than European and American market data, emphasizing the unique position of the Taiwan market in the global financial ecosystem. After-hours trading volatility reflects the absorption of international market information and plays a crucial role in advance revelation of risks. This underscores the importance of after-hours trading in global risk management and strategy formulation.

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